JEOPOLİTİK RİSKLER, PETROL FİYATI VE PAY SENEDİ PİYASASI ARASINDAKİ İLİŞKİLER: PETROL İHRAÇ EDEN VE PETROL İTHAL EDEN ÜLKELERDEN KANITLAR

Öz

Bu çalışmada jeopolitik risk endeksi, petrol fiyatı ve en büyük beş petrol ihracatçısı (Suudi Arabistan, Kanada, Rusya, Amerika ve Birleşik Arap Emirlikleri) ve petrol ithalatçısı (Çin, Amerika, Hindistan, Güney Kore ve Japonya) ülkenin pay senedi piyasaları arasındaki ilişkiler incelenmektedir. Analiz için Ocak 1985-Ağustos 2023 arası dönemine ait aylık veriler kullanılmaktadır. Toda Yamamoto (TY) nedensellik ve Fourier Toda Yamamoto (FTY) nedensellik testleri kullanıldığı çalışmada önemli sonuçlar elde edilmiştir. Her iki nedensellik testinden elde edilen bulgulara göre petrol ihraç eden ülkelerde pay senedi piyasasından petrol fiyatına doğru tek yönlü nedensellik varken, petrol ithal eden ülkelerde genel olarak finansal piyasalar ve petrol fiyatları arasında nedensellik bulunamamıştır. Bulgular, petrol ihracatçısı (Kanada ve ABD) ve petrol ithalatçısı (ABD, Güney Kore ve Japonya) ülkelerde jeopolitik risk endeksinden petrol fiyatına doğru tek yönlü nedensellik olduğunu, dolayısıyla jeopolitik risklerin petrol fiyatları için öngörü bilgisi sunduğunu göstermektedir. Ayrıca bu bulgular yatırımcılar için çeşitlendirme fırsatları ve stratejik kararlar açısından da önemli bilgiler sağlamaktadır

Anahtar Kelimeler

• Jeopolitik Risk Endeksi
• Petrol Fiyatı
• Pay Senedi Piyasaları
• Nedensellik

RELATIONSHIPS BETWEEN GEOPOLITICAL RISKS, THE OIL PRICE AND THE STOCK MARKET: EVIDENCE FROM OIL EXPORTING AND IMPORTING COUNTRIES

Abstract

This study examines the relationships between the Geopolitical Risk Index, the oil price and the stock markets of the five largest oil exporters (Saudi Arabia, Canada, Russia, the United States and the United Arab Emirates) and oil importers (China, the United States, India, South Korea and Japan). The analysis uses monthly data for the period between January 1985 and August 2023. Significant results were obtained in the study using the Toda Yamamoto (TY) causality test and the Fourier Toda Yamamoto (FTY) causality test. According to the results of both causality tests, there is unidirectional causality from the stock market to the oil price in oil-exporting countries, while generally no causality was found between financial markets and oil prices in oil-importing countries. The results show that there is a unidirectional causality from the geopolitical risk index to the oil price in oil-exporting (Canada and the US) and oil-importing (the US, South Korea and Japan) countries, and that geopolitical risks provide predictive information for oil prices. In addition, these findings provide important information for investors in terms of diversification opportunities and strategic decisions.

Keywords

• Geopolitical Risk Index
• Oil Price
• Stock Market
• Causality

Kaynakça

1. Abadie, A. ve Gardeazabal, J. (2003). "The Economic Costs of Conflict: A Case Study of the Basque Country ". American Economic Review, 93 (1): 113-132. https://doi.org/10.1257/000282803321455188
2. Aloui, C., ve Hamida, H. B. (2021). Oil-stock nexus in an oil-rich country: does geopolitical risk matter in terms of investment horizons?. Defence and Peace Economics, 32(4), 468-488. https://doi.org/10.1080/10242694.2019.1696094
3. Alqahtani, A., ve Klein, T. (2021). Oil price changes, uncertainty, and geopolitical risks: On the resilience of GCC countries to global tensions. Energy, 236, 121541. https://doi.org/10.1016/j.energy.2021.121541
4. Antonakakis, N., Gupta, R., Kollias, C., ve Papadamou, S. (2017). Geopolitical risks and the oil-stock nexus over 1899–2016. Finance Research Letters, 23, 165-173. https://doi.org/10.1016/j.frl.2017.07.017
5. Apergis, N., ve Miller, S. M. (2009). Do structural oil-market shocks affect stock prices?. Energy Economics, 31(4), 569-575. https://doi.org/10.1016/j.eneco.2009.03.001
6. Balcilar, M., Ozdemir, Z.A. and Arslanturk, Y. (2010). Economic growth and energy consumption causal nexus viewed through a bootstrap rolling window. Energy Economics, 32(6), 1398-1410. https://doi.org/10.1016/j.eneco.2010.05.015
7. Balcilar, M., Gupta, R., Pierdzioch, C., ve Wohar, M. E. (2018a). Terror attacks and stock-market fluctuations: Evidence based on a nonparametric causality-in-quantiles test for the G7 countries. The European Journal of Finance, 24(4), 333-346. https://doi.org/10.1080/1351847X.2016.1239586
8. Balcilar, M., Bonato, M., Demirer, R., ve Gupta, R. (2018b). Geopolitical risks and stock market dynamics of the BRICS. Economic Systems, 42(2), 295-306. https://doi.org/10.1016/j.ecosys.2017.05.008

9. Barsky, R. B., ve Kilian, L. (2002). Oil and the macroeconomy since the 1970s. Journal of Economic Perspectives, 18(4), 115-134. https://doi.org/10.1257/0895330042632708
10. Basher, S. A., ve Sadorsky, P. (2006). Oil price risk and emerging stock markets. Global Finance Journal, 17(2), 224-251. https://doi.org/10.1016/j.gfj.2006.04.001
11. Bekaert, G., ve C. R. Harvey. 2002. Research in Emerging Markets Finance: Looking to the Future. Emerging Markets Review. 3 (2): 429–448. doi:10.1016/S1566-0141(02)00045-6. https://doi.org/10.1016/S1566-0141(02)00045-6
12. Bjørnland, H. C. (2009). Oil price shocks and stock market booms in an oil exporting country. Scottish Journal of Political Economy, 56(2), 232-254. https://doi.org/10.1111/j.1467-9485.2009.00482.x
13. Caldara, D., ve Iacoviello, M. (2022). Measuring geopolitical risk. American Economic Review, 112(4), 1194-1225. https://doi.org/10.1257/aer.20191823
14. Chen, A. H., ve Siems, T. F. (2004). The effects of terrorism on global capital markets. European Journal of Political Economy, 20(2), 349-366.
15. Cologni, A., ve Manera, M. (2008). Oil prices, inflation and interest rates in a structural cointegrated VAR model for the G-7 countries. Energy Economics, 30(3), 856-888. https://doi.org/10.1016/j.eneco.2006.11.001
16. Degiannakis, S., Filis, G., ve Arora, V. (2018). Oil prices and stock markets: A review of the theory and empirical evidence. The Energy Journal, 39(5). https://doi.org/10.5547/01956574.39.5.sdeg
17. Dickey, D. A., ve Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427-431. https://doi.org/10.1080/01621459.1979.10482531
18. Drakos, K. (2010). Terrorism activity, investor sentiment, and stock returns. Review of Financial Economics, 19(3), 128-135. https://doi.org/10.1016/j.rfe.2010.01.001
19. Enders, W. and Lee, J. (2012). The flexible Fourier form and Dickey-Fuller type unit root tests. Economics Letters, 117, 196-199. https://doi.org/10.1016/j.econlet.2012.04.081
20. Gkillas, K., Gupta, R., ve Wohar, M. E. (2018). Volatility jumps: The role of geopolitical risks. Finance Research Letters, 27, 247-258. https://doi.org/10.1016/j.frl.2018.03.014
21. Gupta, R., Majumdar, A., Pierdzioch, C., ve Wohar, M. E. (2017). Do terror attacks predict gold returns? Evidence from a quantile-predictive-regression approach. The Quarterly Review of Economics and Finance, 65, 276-284. https://doi.org/10.1016/j.qref.2017.01.005
22. Hamilton, J. D. (1983). Oil and the macroeconomy since World War II. Journal of Political Economy, 91(2), 228-248.
23. Hatemi-j, A. (2012). Asymmetric causality tests with an application. Empirical Economics, 43, 447-456. https://doi.org/10.1007/s00181-011-0484-x
24. https://www.bp.com/content/dam/bp/business-sites/en/global/corporate/pdfs/energy-economics/energy-outlook/bp-energy-outlook-2023.pdf
25. https://www.matteoiacoviello.com/gpr.htm
26. https://www.worldstopexports.com
27. Huang, R. D., Masulis, R. W., ve Stoll, H. R. (1996). Energy shocks and financial markets. Journal of Futures Markets, 16(1), 1-27. Available at SSRN: https://ssrn.com/abstract=900741
28. Jones, C. M., ve Kaul, G. (1996). Oil and the stock markets. The journal of Finance, 51(2), 463-491. https://doi.org/10.1111/j.1540-6261.1996.tb02691.x
29. Jung, H., ve Park, C. (2011). Stock market reaction to oil price shocks: A comparison between an oil-exporting economy and an oil-importing economy. Journal of Economic Theory and Econometrics, 22(3).
30. Kang, W., ve Ratti, R. A. (2013). Oil shocks, policy uncertainty and stock market return. Journal of International Financial Markets, Institutions and Money, 26, 305-318. https://doi.org/10.1016/j.intfin.2013.07.001
31. Kang, W., ve Ratti, R. A. (2015). Oil shocks, policy uncertainty and stock returns in China. Economics of Transition, 23(4), 657-676. https://doi.org/10.1111/ecot.12062
32. Kollias, C., Kyrtsou, C., ve Papadamou, S. (2013). The effects of terrorism and war on the oil price–stock index relationship. Energy Economics, 40, 743-752. https://doi.org/10.1016/j.eneco.2013.09.006
33. Kök, D. ve Nazlıoğlu, E. H. (2022). Enerji Arz Güvenliği, Petrol Fiyatları ve Pay Piyasalarında Nedensellik İlişkisi: BRICS-T Örneği. Ekonomi Politika ve Finans Araştırmaları Dergisi, 7(1), 220-237. https://doi.org/10.30784/epfad.1081603
34. Kumar, S., Khalfaoui, R., ve Tiwari, A. K. (2021). Does geopolitical risk improve the directional predictability from oil to stock returns? Evidence from oil-exporting and oil-importing countries. Resources Policy, 74, 102253. https://doi.org/10.1016/j.resourpol.2021.102253
35. Lee, C. C., Tang, H., ve Li, D. (2022). The roles of oil shocks and geopolitical uncertainties on China’s green bond returns. Economic Analysis and Policy, 74, 494-505. https://doi.org/10.1016/j.eap.2022.03.008
36. Li, S., Tu, D., Zeng, Y., Gong, C., ve Yuan, D. (2022). Does geopolitical risk matter in crude oil and stock markets? Evidence from disaggregated data. Energy Economics, 113, 106191. https://doi.org/10.1016/j.eneco.2022.106191
37. Lin, B., ve Su, T. (2020). Mapping the oil price-stock market nexus researches: A scientometric review. International Review of Economics ve Finance, 67, 133-147. https://doi.org/10.1016/j.iref.2020.01.007
38. Nandha, M., ve Faff, R. (2008). Does oil move equity prices? A global view. Energy Economics, 30(3), 986-997. https://doi.org/10.1016/j.eneco.2007.09.003
39. Nazlıoğlu, E. H. (2023), Enerji arz güvenliği açısından enerji fiyatları ve finansal piyasalar arasındaki ilişki. (Yayımlanmamış Doktora Tezi). Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü.
40. Nazlioglu, S. (2021). TSPDLIB: GAUSS time series and panel data methods (Version 2.0): Source code. Retrieved from https://github.com/aptech/tspdlib
41. Nazlioglu, S., Gormus, A. and Soytas, U. (2016). Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis. Energy Economics, 60(1), 168-175. https://doi.org/10.1016/j.eneco.2016.09.009. https://doi.org/10.1016/j.eneco.2016.09.009
42. Nazlioglu, S., Pazarci, S., Kar, A., ve Varol, O. (2023). Efficient market hypothesis in emerging stock markets: gradual shifts and common factors in panel data. Applied Economics Letters, 1-7. https://doi.org/10.1080/13504851.2023.2206613
43. Papapetrou, E. (2001). Oil price shocks, stock market, economic activity and employment in Greece. Energy Economics, 23(5), 511-532. https://doi.org/10.1016/S0140-9883(01)00078-0
44. Ramiah, V., Wallace, D., Veron, J. F., Reddy, K., ve Elliott, R. (2019). The effects of recent terrorist attacks on risk and return in commodity markets. Energy Economics, 77, 13-22. https://doi.org/10.1016/j.eneco.2018.10.025
45. Sharif, A., Aloui, C., ve Yarovaya, L. (2020). COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach. International Review of Ffinancial Analysis, 70, 101496. https://doi.org/10.1016/j.irfa.2020.101496
46. Smales, L. A. (2021). Geopolitical risk and volatility spillovers in oil and stock markets. The Quarterly Review of Economics and Finance, 80, 358-366. https://doi.org/10.1016/j.qref.2021.03.008
47. Toda, H.Y. ve Yamamoto, T. (1995). Statistical inference in vector autoregression with possibly integrated processes. Journal of Econometrics, 66, 225–250. https://doi.org/10.1016/0304-4076(94)01616-8
48. Wang, K. H., Su, C. W., ve Umar, M. (2021). Geopolitical risk and crude oil security: A Chinese perspective. Energy, 219, 119555. https://doi.org/10.1016/j.energy.2020.119555
49. Zivot, E. ve Andrews, W.K. (1992). Further evidence on the great crash, the oil-price shock, and the unit root hypothesis. Journal of Business and Economic Statistics, 10(3), 251-270. https://doi.org/10.1198/073500102753410372